"Must" is a strong word!
But there are differences of nuance that make one choice perhaps a bit more natural than the others in particular cases.
"It" is a personal pronoun. It is used, like "him" or "her", but for things, to refer to something that has already been mentioned. You may know that object, place, or skill. "Do you know the Boeing 747 / Paris / Python / French? Yes, I know it." It is perhaps used more often with "know" in the sense of being familiar with something.
In the case of knowing a fact, knowing of something (for which many European languages, yours included as far as I know, have a different word), you have to "point" to that fact. So you need a demonstrative pronoun, such as "this" or "that". The difference between the two is that "this" indicates something closer than "that", but that closeness can be an emotional quality as well as a physical distance. Now, it seems to me I would more naturally use "this" with "know" when it's my idea, and "that" when it's someone else's. (I think that's what Peachey may be getting at, too.) For example: "Did you know that Brian May was guitarist for Queen? Yes, everyone knows that, but did you know this: he's an astrophysicist too?"